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20132025
most citedAmerican option of stochastic volatility model with negative Fichera function on degenerate boundary

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math.OC2024

Long-Time Behaviors of Stochastic Linear-Quadratic Optimal Control Problems

Jiamin Jian, Sixian Jin, Qingshuo Song +1

This paper investigates the asymptotic behavior of the solution to a linear-quadratic stochastic optimal control problems. The so-called probability cell problem is introduced the…